This paper tests whether it is possible to improve point, quantile and density forecasts of realized volatility by conditioning on macroeconomic and financial variables. We employ quantile autoregressive models augmented with a plethora of macroeconomic and financial variables. Complete subset...

In this study, we examine the Brock, Dechert and Scheinkman (BDS) test when applied to the standardised residuals of an estimated GARCH(1,1) model as a test for the adequacy of this specification. We review the conditions derived by De Lima (1996, Econometric Reviews, 15, 237-259) for the...